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Do high and low-ranked sustainability stocks perform differently?

Lee, Darren D.; Faff, Robert W.; Rekker, Saphira A.C. - In: International Journal of Accounting and Information … 21 (2013) March, pp. 116-132

Purpose – The purpose of this paper is to examine whether portfolios comprising high-ranked corporate social performance (CSP) firms out/underperform portfolios comprised of low-ranked CSP firms. The authors employed a US sample covering the period 1998-2007. Design/methodology/approach – In...

Persistent link: https://www.econbiz.de/10010686112

Does implied volatility provide any information beyond that captured in model-based volatility forecasts?

Becker, Ralf; Clements, Adam; White, Scott I. - In: Journal of banking & finance 31 (2007) 8, pp. 2535-2549

Persistent link: https://www.econbiz.de/10003522977

Keep on smiling? : the pricing of Quanto options when all covariances are stochastic

Branger, Nicole; Muck, Matthias - In: Journal of banking & finance 36 (2012) 6, pp. 1577-1591

Persistent link: https://www.econbiz.de/10009616465

Earning the right premium on the right factor in portfolio planning

Branger, Nicole; Hansis, Alexandra - In: Journal of banking & finance 59 (2015), pp. 367-383

Persistent link: https://www.econbiz.de/10011544589

The jump component of S&P 500 volatility and the VIX index

Becker, Ralf; Clements, Adam; McClelland, Andrew - In: Journal of banking & finance 33 (2009) 6, pp. 1033-1038

Persistent link: https://www.econbiz.de/10003841865

Optimal portfolios when volatility can jump

Branger, Nicole; Schlag, Christian; Schneider, Eva - In: Journal of banking & finance 32 (2008) 6, pp. 1087-1097

Persistent link: https://www.econbiz.de/10003733829

An evaluation of volatility forecasting techniques

Brailsford, Timothy J. - In: Journal of banking & finance 20 (1996) 3, pp. 419-438

Persistent link: https://www.econbiz.de/10001197045

Does the uncertainty of firm-level fundamentals help explain cross-sectional differences in liquidity commonality?

Isshaq, Zangina; Faff, Robert W. - In: Journal of banking & finance 68 (2016), pp. 153-161

Persistent link: https://www.econbiz.de/10011634813

What can we learn from firm-level jump-induced tail risk around earnings announcements?

Liu, Mengxi; Chan, Kam Fong; Faff, Robert W. - In: Journal of banking & finance 138 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013461866